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Towards a measure of financial fragility

Aspachs, Oriol; Goodhart, Charles; Tsomocos, Dimitrios P.; … - London School of Economics (LSE) - 2006

This paper proposes a measure of financial fragility that is based on economic welfare in a general equilbrium model calibrated against UK data. The model comprises a household sector, three active heterogeneous banks, a central bank/regulator, incomplete markets, and endogenous default. We...

Persistent link: https://www.econbiz.de/10010745512

Can rare events explain the equity premium puzzle?

Julliard, Christian; Ghosh, Anisha - London School of Economics (LSE) - 2008

frequencies, the Consumption-CAPM is still rejected by the data and requires a very high level of Relative Risk Aversion(RRA) in … order to rationalize the stock market risk premium. This result holds for a variety of data sources and samples –including …-sectional dis-persion of consumption risk relative to the cross-sectional variation of average returns …

Persistent link: https://www.econbiz.de/10011071098